Empirical Likelihood Ratio Confidence Regions
Owen, Art
Ann. Statist., Tome 18 (1990) no. 1, p. 90-120 / Harvested from Project Euclid
An empirical likelihood ratio function is defined and used to obtain confidence regions for vector valued statistical functionals. The result is a nonparametric version of Wilks' theorem and a multivariate generalization of work by Owen. Cornish-Fisher expansions show that the empirical likelihood intervals for a one dimensional mean are less adversely affected by skewness than are those based on Student's $t$ statistic. An effective method is presented for computing empirical profile likelihoods for the mean of a vector random variable. The method is a reduction by convex duality to an unconstrained minimization of a convex function on a low dimensional domain. Algorithms exist for finding the unique global minimum at a superlinear rate of convergence. A byproduct is a noncombinatorial algorithm for determining whether a given point lies within the convex hull of a finite set of points. The multivariate empirical likelihood regions are justified for functions of several means, such as variances, correlations and regression parameters and for statistics with linear estimating equations. An algorithm is given for computing profile empirical likelihoods for these statistics.
Publié le : 1990-03-14
Classification:  Bootstrap,  confidence set,  empirical likelihood,  likelihood ratio test,  nonparametric likelihood,  62E20
@article{1176347494,
     author = {Owen, Art},
     title = {Empirical Likelihood Ratio Confidence Regions},
     journal = {Ann. Statist.},
     volume = {18},
     number = {1},
     year = {1990},
     pages = { 90-120},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176347494}
}
Owen, Art. Empirical Likelihood Ratio Confidence Regions. Ann. Statist., Tome 18 (1990) no. 1, pp.  90-120. http://gdmltest.u-ga.fr/item/1176347494/